Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0101
Annualized Std Dev 0.1566
Annualized Sharpe (Rf=0%) -0.0642

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1620
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0039
Maximum 0.2333
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0099
Skewness 1.0293
Kurtosis 86.0038

Downside Risk

Close
Semi Deviation 0.0071
Gain Deviation 0.0080
Loss Deviation 0.0086
Downside Deviation (MAR=210%) 0.0120
Downside Deviation (Rf=0%) 0.0071
Downside Deviation (0%) 0.0071
Maximum Drawdown 0.5878
Historical VaR (95%) -0.0128
Historical ES (95%) -0.0231
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
1999-01-05 2008-12-16 2012-05-31 -0.5878 3374 2504 870
2013-01-24 2020-03-18 NA -0.4263 2054 1800 NA
2012-08-02 2012-08-23 2012-12-03 -0.0901 84 16 68
2012-12-04 2012-12-19 2013-01-14 -0.0758 28 12 16
2012-06-01 2012-06-15 2012-07-02 -0.0523 22 11 11

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.5 0 -0.5 1 0.5 1 -0.5 0 -1.1 -0.6 2.4 -0.6 2.1
2000 -0.6 0 1.2 -1.2 0 1.1 -1.1 -0.5 0.6 0 0.6 0 0.1
2001 0.2 0.9 1.1 -0.4 0.6 0.7 0.3 -0.2 0.5 0.4 0.2 2.8 7.3
2002 1 -0.6 0.8 0 -0.2 0.4 0.7 0.7 -0.2 -0.1 0.6 0.6 3.8
2003 -0.2 0.6 -1.1 -0.5 0.5 1.6 -0.4 0.3 0.3 0.9 0.1 1.1 3.3
2004 0 -0.1 0.2 -0.4 0.1 0.3 0.1 -0.1 -0.2 0.3 0.1 0.4 0.8
2005 -0.4 0.2 1.1 0.5 0 -0.1 0.2 0.4 0.4 -0.6 -0.4 -0.2 1.1
2006 0.5 -0.3 0.4 -0.4 0.4 0.8 0.4 0.1 -0.1 -0.1 0.2 0.4 2.3
2007 -0.3 -0.3 -0.1 -0.2 -0.1 0.3 0.1 0.1 -0.1 0.2 -0.1 1 0.5
2008 0.3 -2 1.1 0.3 0.1 -0.2 -0.2 0.6 2.9 -4.1 -2.7 1.7 -2.3
2009 0.6 0.3 0.5 1.4 0 0.1 0.6 -0.3 0.7 -1 -0.2 0.1 2.9
2010 0.1 -0.2 1.2 -0.6 0.5 0 0.1 -0.2 0 -0.6 -2.7 3.9 1.4
2011 -0.2 2.2 -0.2 0.2 -1.2 0.8 1.4 -0.2 0.5 -0.6 0.8 0.9 4.6
2012 0.1 0.6 0.7 0.1 -0.2 0.9 0.7 0.8 0.9 -0.3 0.6 -0.6 4.3
2013 -0.4 -0.1 -0.6 0 -1.6 0 -1.2 -0.2 -0.6 -1.5 0.1 -0.4 -6.4
2014 0.2 -0.3 0 0.9 0.3 0 0.1 0.4 0.2 0.1 0.1 -0.1 1.7
2015 0.1 0.7 0.3 -0.9 -0.2 -0.3 0.5 0.1 0.4 0.3 0.3 0.2 1.5
2016 0.4 0.6 0.1 0.1 0 0.1 -0.2 0.3 -0.6 0.8 -0.7 -0.2 0.7
2017 -0.7 -0.5 0.4 0 0.1 0.2 0.1 -0.2 -0.3 -0.1 0.1 0.1 -1
2018 -0.6 -0.2 0 0.4 0 0.1 -0.2 0.1 0 0.3 0.3 0.4 0.5
2019 -0.2 0.2 -0.2 0.5 0.5 0 0.4 0.4 -0.1 -0.2 0.5 0.1 2.1
2020 0.3 -1.5 -3.6 0.1 0.7 -0.1 -0.2 0 0.1 0 0.5 1.2 -2.4
2021 -0.1 -0.1 0 NA NA NA NA NA NA NA NA NA -0.2

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart